Updated: 2019-11-05

getStockMinuteBars

By SpiderRock

    Stock Minute Bar records are created once per minute for each open stock and index market. Historical data available through 8/1/2009.

    Order Data Name Description Data Type Comments
    1 ticker_tk* Ticker varchar(12)
    2 ticker_ts* Ticker source enum ('None','SR','NMS','CME','ICE','CFE','CBOT','TD','NYMEX','COMEX','RUT','CBOE','ISE','ARCA','NYSE','OTC','GDAX','BSTAMP','KRAKEN','TST','USR1','USR2','USR3','NSDQ','MFQS','PHLX')
    3 date* Date varchar(10)
    4 time* Time varchar(8)
    5 prtOpen* Open print double
    6 prtHigh* High print double
    7 prtLow* Low print double
    8 prtLast* Last print double
    9 prtVWap* VWap (print) double
    10 prtVolume* Print volume int(11)
    11 prtCount* Print count int(11)
    12 qteHiBid* Quote high bid double
    13 qteLoAsk* Quote low ask double
    14 qteTwap* Quote TWap double
    15 qteCount* Quote count int(11)
    16 bid* Bid double
    17 ask* Ask double
    18 bidSz* Bid size int(11)
    19 askSz* Ask size int(11)
    20 width* Bid/ask spread float
    21 isEOB* End-of-bar (every 10 minutes) enum ('None','Yes','No')
    22 isEOH* End-of-hour enum ('None','Yes','No')
    23 timestamp* YYYY-MM-DD HH:mm:ss datetime

    About the Vendor

    SpiderRock is a technology provider that creates and deploys some of the most innovative algorithmic execution and risk management solutions commercially available to service large hedge funds, bank trading desks and proprietary trading firms around the world. The platform is a high-performance, cloud-based trading system empowering institutional clients with tools to construct, manage, and scale equity, futures and option strategies.

    SpiderRock is also a market data vendor specializing in low latency data and analytics services. In addition, they offer electronic execution and market access services via SpiderRock EXS, an agency broker dealer regulated by FINRA and NFA.